AlphaTrading
Unverified Other strategy on Indices by jerryxyx. BotFinder score 18 out of 100.
An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic
Source: github
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AlphaTrading
Multi-Factor Models Author: Jerry Xia Date: 2018/07/27 Note: The advanced Marckdown features such as math expression may not be compatible in GitHub, please see README.pdf instead if you want more details Project Introduction This is a research survey about alpha trading. In this project, I built up a pipeline of alpha trading including: factor pretest factor screening factor combination (modeling) The models involed are APT models, Barra's risk models and dynamic factors model using Kalman filter. Files rqdatautils.py: Utils dealing with the rice quant platform data Step1FactorPretest.ipynb: Factor returns profile visulization Step2FactorsScreening.ipynb: Factor returns turnover visulization and correlation coefficients Step3\FactorCombination\AdaBoost\Quantopian.ipynb: A Quantopian notebook file to combine alpha factors using Adaboost Step3\FactorCombination\BarraKalmanFilter.ipynb: Barra's risk model with three calibration schemes: Scheme 1: Cross-sectional regression and weighted average Scheme 2: Optimization problem: minimize the exponential weighted average of squared error Sc
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